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Goldman Sachs Asset Management has been sacked by Arizonaâs $21bn (â¬17bn) state retirement system from running a $300m active pension mandate.

Gary Dokes, Arizona’s chief investment officer, said the US fund had removed Goldman from managing a large-cap equity growth-style mandate. “We dropped Goldman primarily because of performance issues, which were long term,” he said.

Arizona said Goldman had underperformed its benchmark and had been placed in the bottom decile of its peer group for all periods since the mandate was awarded.

Over three years, Goldman returned 9.5% against a S&P 500 average of 14.8%. Over one year, Goldman returned minus 1.6% against an average of 2.8%. In the first quarter of 2005, Goldman returned minus 6.7% against an average of minus 3.4%.

The mandate was transferred to Intech, owned by Janus, a US fund manager which manages assets for Arizona. The US state was advised by Mercer Investment Consulting.

Suzanne Donohoe, co-head of European asset management at Goldman, said: “We were disappointed to see the Arizona US concentrated growth equity mandate go after such a short time. Arizona had been a client of this strategy for a little over two years and during a challenging period for growth managers.”

Donohoe said a high level of volatility relative to the index should be expected, given the design of its US concentrated strategy, a 35-stock portfolio.

Performance had recovered in the second quarter of this year and was up almost 2.5%, relative to the S&P, she added.

Consultants told Financial News that Goldman has been offering to transfer active funds to its computer-driven quantitative team in the US.

Lincoln Financial also has Goldman under review for £2.2bn in active mandates. A spokesman for the UK life assurance group said Goldman remained under watch, although performance had improved in the past month.